A regularized smoothing stochastic approximation (RSSA) algorithm for stochastic variational inequality problems
Farzad Yousefian, Angelia Nedić, Uday V. Shanbhag · 2013
We consider a stochastic variational inequality (SVI) problem with a continuous and monotone mapping over a compact and convex set. Traditionally, stochastic approximation (SA) schemes for SVIs have relied on strong monotonicity and Lipschitzian properties of the underlying map. We present a regularized smoothed SA (RSSA) scheme where in the stepsize, smoothing, and regularization parameters are diminishing sequences. Under suitable assumptions on the sequences, we show that the algorithm generates iterates that converge to a solution in an almost-sure sense. Additionally, we provide rate estimates that relate iterates to their counterparts derived from the Tikhonov trajectory associated with a deterministic problem.